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15.If the volatility of a non-dividend paying stock is 20% per annum and a risk-free rate is 5% per annum, which of the following is closest to the Cox, Ross, Rubinstein parameter u for a tree with a three-month time step?

A.1.05

B.1.07

C.1.09

D.1.11

A.1.05

B.1.07

C.1.09

D.1.11

Answer: D

The formula for u is

The formula for u is

Flashcard info:

Author: CoboCards-User

Main topic: Finance & Investment

Topic: Derivatives

Published: 27.10.2015